Strategies / Breakout / Donchian Breakout With Quality Score

Donchian Breakout With Quality Score

The system buys on a break above the prior 50-bar high when the 200-period EMA is rising and a quality score is 0.8 or higher, and shorts the mirror setup. Positions close on a break through the opposite 50-bar channel or after 80 bars.

BreakoutLong & shortSwingS&P 500Daily

2.18Profit factor

3,403Net profit EUR

60.18%Win rate

113Trades

-743Max drawdown

30.12Avg trade

Best run of 20. S&P 500, Daily, spread 1, from run pf:2026-10-04-USA500-D.tsv:5.

Entry rules, long

The 200-period EMA is higher than its value 30 bars earlier.
The composite quality score is at least 0.8.
The quality score combines EMA slope, position within the 600-bar range, EMA distance, and penalties for recent closes near the breakout level.

Entry rules, short

The 200-period EMA is lower than its value 30 bars earlier.
The composite quality score, using the same definition, is at least 0.8.

Exit rules

The long closes 80 bars after the entry bar.
The short closes when the close rises above the prior 50-bar highest high.
The short closes 80 bars after the entry bar.

Test conditions

Period	Up to 2026-10-04
Instrument	S&P 500, Daily
Spread	1 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	Daily	2.18	113	60.18	3,403 EUR	-743
Gold	30 min	1.22	1,392	46.41	2,425 EUR	-511
USD/JPY	Daily	n/a	85	56.47	1,270,880 USD	-553,000
USD/JPY	4 hours	n/a	244	50.41	811,840 USD	-236,360
USD/JPY	1 hour	n/a	1,040	45.67	383,100 USD	-222,390
USD/JPY	15 min	n/a	1,482	43.93	214,630 USD	-206,200
EUR/USD	Daily	n/a	73	56.16	45,001 USD	-44,050
Silver	30 min	n/a	1,298	44.22	31,985 USD	-11,484
Silver	4 hours	n/a	180	45.00	25,997 USD	-15,123
Nikkei 225	Daily	n/a	72	47.22	20,768 USD	-10,873
Nikkei 225	4 hours	n/a	178	46.63	20,007 USD	-10,248
Dow Jones	Daily	n/a	105	52.38	10,968 EUR	-9,210
Dow Jones	30 min	n/a	593	45.70	9,825 EUR	-9,246
Nasdaq 100	Daily	n/a	91	60.44	8,036 EUR	-4,476
Nasdaq 100	4 hours	n/a	243	51.44	7,837 EUR	-5,897
Gold	Daily	n/a	81	54.32	2,721 EUR	-1,108
Gold	4 hours	n/a	217	47.47	2,706 EUR	-736
Gold	1 hour	n/a	853	44.78	2,590 EUR	-803
Gold	15 min	n/a	1,422	42.62	1,743 EUR	-833
S&P 500	4 hours	n/a	240	52.92	1,309 EUR	-993

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Donchian Breakout With Quality Score
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE entrybar = 0

dchigh = highest[50](high)[1]
dclow = lowest[50](low)[1]
ema = ExponentialAverage[200](close)
myAtr = AverageTrueRange[14](close)
macrohigh = highest[600](high)[1]
macrolow = lowest[600](low)[1]
macrorng = macrohigh - macrolow

64 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

EMAATRDonchian Channel

Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 33.57 EUR

S&P 500 had no history beyond the standard run, so both runs used 14,000 bars.

S&P 500 · Daily

Bars available	14,000
Net, standard 200,000-bar run	3,403.29 EUR
Net, long run	3,436.86 EUR
Net on the older data alone	33.57 EUR

Read this firstKnown weaknesses2 points

The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Donchian Breakout With Quality Score in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 20 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.18 over 113 trades.

How large was the drawdown?

The best run had a maximum drawdown of 743 EUR at the tested position size, against a net result of 3,403 EUR.

Does it trade long, short or both?

It trades both long and short.

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs

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